Posted: 06/12/2016 at 13:51
According to a site I found, which is involved with the protection of red squirrels, it is illegal to release grey squirrels. Quote from the site
The grey squirrel is regarded as an invasive non-native species following its inclusion under Schedule 9 of the WCA. Grey squirrels are also listed in the IUCN international list of 100 worst invasive non-native species. This highlights the damage that grey squirrels cause to our native flora and fauna; a problem severe enough to be recognised at a level of global significance. As such, the grey squirrel is regarded as a pest species and is afforded no protection under the WCA. Under Schedule 9 of the WCA, it is illegal to release a grey squirrel into the wild, or allow one to escape.
This means if you trap one, you are obliged to humanely dispatch it. You must not let it go as this act would be illegal.